本文關(guān)鍵詞：基于網(wǎng)絡(luò)的金融數(shù)據(jù)分析與挖掘　出處：《復(fù)旦大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 經(jīng)濟(jì)物理學(xué) 金融數(shù)據(jù)分析 期貨交易網(wǎng)絡(luò) 異常交易行為 復(fù)雜網(wǎng)絡(luò)

【摘要】：經(jīng)濟(jì)物理學(xué)是一個(gè)利用物理學(xué)的理論方法分析解決經(jīng)濟(jì)和金融問(wèn)題的跨學(xué)科研究領(lǐng)域。它開(kāi)啟了物理和計(jì)算機(jī)研究者們對(duì)經(jīng)濟(jì)過(guò)程和金融市場(chǎng)問(wèn)題的研究熱潮。復(fù)雜網(wǎng)絡(luò)是一個(gè)研究真實(shí)復(fù)雜系統(tǒng)的強(qiáng)大而有效的工具。但是,利用復(fù)雜網(wǎng)絡(luò)方法研究金融市場(chǎng)還處于起步階段,沒(méi)有深入的實(shí)證研究。本文從復(fù)雜網(wǎng)絡(luò)的理論框架對(duì)期貨市場(chǎng)的網(wǎng)絡(luò)統(tǒng)計(jì)特征、演化建模、群體行為和攻擊彈性,以及從數(shù)據(jù)挖掘的角度對(duì)異常交易行為檢測(cè)和價(jià)格傳導(dǎo)機(jī)制進(jìn)行深入地分析研究,希望能夠幫助人們理解金融市場(chǎng),認(rèn)識(shí)其運(yùn)行機(jī)制和規(guī)律,以及給監(jiān)管者在預(yù)防極端市場(chǎng)和降低系統(tǒng)性風(fēng)險(xiǎn)的分析決策上提供有價(jià)值的思路。1.介紹期貨交易網(wǎng)絡(luò)的構(gòu)建方法,全面分析期貨交易網(wǎng)絡(luò)的拓?fù)涮卣�。期貨交易網(wǎng)絡(luò)是基于成交結(jié)果數(shù)據(jù)集構(gòu)建的,節(jié)點(diǎn)代表交易者,邊表示交易者之間的買(mǎi)賣交易關(guān)系。實(shí)證分析的結(jié)果表明期貨交易網(wǎng)絡(luò)具有這些特性：無(wú)標(biāo)度行為、奇偶度分叉現(xiàn)象、小世界效應(yīng)、層次組織、冪律介數(shù)分布、異配連接模式以及平均路徑長(zhǎng)度和網(wǎng)絡(luò)直徑隨著網(wǎng)絡(luò)生長(zhǎng)而收縮的特性。對(duì)于期貨交易網(wǎng)絡(luò)每一個(gè)特性,我們均從期貨市場(chǎng)交易業(yè)務(wù)和運(yùn)行機(jī)制上做了解釋和說(shuō)明。實(shí)證分析的結(jié)果能夠幫助市場(chǎng)參與者們和研究者們認(rèn)識(shí)和理解金融市場(chǎng)交易業(yè)務(wù)的內(nèi)在性質(zhì),也能夠給金融市場(chǎng)監(jiān)管者們?cè)谥贫L(fēng)險(xiǎn)管控政策和具體措施時(shí)提供有價(jià)值的參考。2.分析期貨市場(chǎng)超級(jí)操盤(pán)手的集體行為特性,并探究對(duì)其目標(biāo)攻擊后的網(wǎng)絡(luò)彈性。我們對(duì)網(wǎng)絡(luò)拓?fù)溲莼�、富人俱�?lè)部系數(shù)和目標(biāo)攻擊的場(chǎng)景進(jìn)行研究分析,研究結(jié)果首先顯示超級(jí)操盤(pán)手們特有的行為特征：交易次數(shù)多,交易時(shí)間長(zhǎng),交易品種繁雜,長(zhǎng)時(shí)間保持活躍,擁有更多的機(jī)會(huì)進(jìn)行再次交易；同時(shí),他們?cè)谑袌?chǎng)交易行為上顯示了領(lǐng)導(dǎo)者的地位；其次,期貨交易網(wǎng)絡(luò)展示了明顯的富人俱樂(lè)部結(jié)構(gòu),超級(jí)操盤(pán)手們互相緊密連接在一起；最后,期貨交易網(wǎng)絡(luò)在靜態(tài)蓄意攻擊下顯示了很好的穩(wěn)定性和健壯性,但是在每日交易網(wǎng)絡(luò)的目標(biāo)攻擊彈性上,期貨交易網(wǎng)絡(luò)的結(jié)構(gòu)演化表現(xiàn)各異：銅期貨網(wǎng)絡(luò)受到顯著的沖擊,天然橡膠期貨網(wǎng)絡(luò)沒(méi)有影響,全市場(chǎng)網(wǎng)絡(luò)有輕微的影響。這些分析結(jié)果可以幫助制定有效的監(jiān)管方法,減弱金融市場(chǎng)系統(tǒng)性風(fēng)險(xiǎn)。3.跟蹤期貨交易網(wǎng)絡(luò)的演化過(guò)程,揭示網(wǎng)絡(luò)連接的微觀動(dòng)力學(xué),并創(chuàng)建網(wǎng)絡(luò)模型。期貨交易網(wǎng)絡(luò)經(jīng)歷了開(kāi)始階段的波動(dòng)后,逐漸達(dá)到穩(wěn)定狀態(tài),最大連通分量自始至終統(tǒng)治著網(wǎng)絡(luò)的發(fā)展路線。在演化的過(guò)程中,期貨交易網(wǎng)絡(luò)一直展示了度和強(qiáng)度分布的無(wú)標(biāo)度行為、小世界效應(yīng)和異配連接模式。在微觀層面上,我們揭示了網(wǎng)絡(luò)連接的動(dòng)力學(xué),它作為網(wǎng)絡(luò)演化的原始驅(qū)動(dòng)力,并深入解釋奇偶分叉現(xiàn)象。根據(jù)本質(zhì)上越活躍的投資者會(huì)做越多買(mǎi)賣交易這個(gè)事實(shí),以及網(wǎng)絡(luò)連接動(dòng)力學(xué)的分析結(jié)果,我們提出了一個(gè)活躍度模型,它能夠成功地復(fù)制實(shí)證觀察的結(jié)果。這些研究發(fā)現(xiàn)和建模思想可以幫助理解金融市場(chǎng)發(fā)展軌跡和運(yùn)行機(jī)制。4.提出了一種金融市場(chǎng)里關(guān)聯(lián)交易行為的檢測(cè)方法。為了捕捉金融市場(chǎng)里這種新近出現(xiàn)的且呈上升發(fā)展趨勢(shì)的異常交易行為,我們提出一個(gè)在期貨合約上檢測(cè)潛在關(guān)聯(lián)交易組的方法：計(jì)算任何兩個(gè)符合條件帶符號(hào)委托量的統(tǒng)一聚集時(shí)間序列的相關(guān)系數(shù),形成一個(gè)相關(guān)系數(shù)矩陣,構(gòu)建相應(yīng)的有權(quán)圖；將多個(gè)每日有權(quán)圖中的連通分量合并為綜合有權(quán)圖,多次出現(xiàn)的連通分量則認(rèn)定為是一個(gè)潛在的關(guān)聯(lián)交易組。我們?cè)谡鎸?shí)的委托記錄集上進(jìn)行檢測(cè)實(shí)驗(yàn),實(shí)驗(yàn)的結(jié)果顯示我們的方法能夠有效地檢測(cè)期貨市場(chǎng)上可疑的關(guān)聯(lián)交易組,經(jīng)過(guò)資深的業(yè)務(wù)專家驗(yàn)證,這個(gè)結(jié)果是可信的。5.提出基于延時(shí)相關(guān)性的價(jià)格傳導(dǎo)關(guān)系圖和趨勢(shì)影響的方法,研究分析三家世界主要銅期貨市場(chǎng)(LME、上期所和COMEX)的價(jià)格傳導(dǎo)和互動(dòng)關(guān)系。根據(jù)三家交易所每日兩兩價(jià)格序列間的延時(shí)相關(guān)性計(jì)算結(jié)果,我們建立價(jià)格傳導(dǎo)關(guān)系圖。對(duì)價(jià)格傳導(dǎo)關(guān)系圖的分析結(jié)果表明：LME領(lǐng)導(dǎo)著全球銅期貨市場(chǎng)的價(jià)格,COMEX緊緊追隨著LME,上期所價(jià)格受到LME強(qiáng)勢(shì)的引導(dǎo)和影響。但是上期所價(jià)格和LME之間存在著明顯的偏差。我們利用1分鐘高頻價(jià)格數(shù)據(jù)計(jì)算延時(shí)相關(guān)性,沒(méi)有發(fā)現(xiàn)LME和上期所之間存在價(jià)格上的領(lǐng)導(dǎo)跟隨關(guān)系。于是,我們利用趨勢(shì)影響模型,測(cè)量上期所和LME在分鐘級(jí)漲跌趨勢(shì)上先背離后趨同的程度,結(jié)果表明上期所和LME在日內(nèi)價(jià)格運(yùn)行上存在明顯的互動(dòng)現(xiàn)象,但是LME對(duì)上期所的影響稍大。從三家交易所隔夜價(jià)格變化和交易時(shí)間的分析結(jié)果來(lái)看,上期所的交易時(shí)間太短,嚴(yán)重削弱其在全球市場(chǎng)價(jià)格發(fā)現(xiàn)中的地位。
[Abstract]:Physics is an economic analysis method by using the theory of physics interdisciplinary research field to solve economic and financial problems. It opens the study of physics and computer researchers on the economic process and financial market research boom. Complex network is a complex system of real powerful and effective tool. However, the research on financial market the complex network method is still in the initial stage, no in-depth empirical research. This paper from the theoretical framework of the complex network of futures market network statistical characteristics, evolutionary modeling, group behavior and attack resilience, in-depth analysis and research from the perspective of data mining on the abnormal trading behavior detection and price transmission mechanism, hoping to help people understand the financial market, understand its operation mechanism and rules, and to regulators in the extreme market analysis to prevent and reduce systemic risk decision Policy provides the ideas of value.1. introduced the construction method of futures trading network, a comprehensive analysis of the topological characteristics of futures trading network. Futures trading network is constructed based on the transaction results in data sets, the nodes represent traders, traders and edges represent the relationship between sale and purchase transaction. The empirical results show that futures trading network has these characteristics: the scaling behavior of parity, bifurcation, small world effect, hierarchical organization, power-law distribution characteristics of betweenness, diameter shrinkage with the network growth with different connection mode and the average path length and network. For the futures trading of every network characteristics, we are from the futures market trading business and operating mechanism is explained and description. The results of empirical analysis can help market participants and researchers to know and understand the financial market transactions of inner nature, can also give financial city The collective behavior of field regulators provide valuable reference in the development of.2. risk management policies and specific measures of the futures market super trader, and explore the network attacks on its elastic targets after the evolution of network topology. We, the rich club coefficient and target attack scenarios were analyzed, the results show the first act the unique characteristics of super traders: many transactions, transaction time, transaction types are complicated, long time to stay active, have more opportunities to trade again; at the same time, they are in the market for display on the leader's position; secondly, futures trading network shows the rich club structure, super trader are closely connected together; finally, futures trading networks show good stability and robustness in static intentional attack, but in the daily transaction Target attack on the elastic network, the performance of different structure evolution of futures trading network: Copper Futures Network is a significant impact, did not affect the natural rubber futures network, has a slight impact on the whole market network. These results can help to develop effective monitoring methods, reduce systemic risk in financial markets.3. tracking futures trading network evolution process and reveal the microscopic dynamics of network connection, and create a network model. The futures trading network has experienced the beginning stages of the fluctuation, gradually reached a steady state, the development line of the largest connected component from first to last ruled network. In the process of evolution, the futures trading network has been demonstrated and scale-free behavior of intensity distribution, small world effect and with different connection mode. At the micro level, we reveal the dynamics of network connection, it is the original driving force of network evolution, And further explanation of parity bifurcation. Based essentially on the more active investors will do this fact more transactions, and network connection dynamics analysis results, we propose an active model, it can successfully replicate the empirical observation results. The study found and modeling idea can help to understand the financial market development and the operation mechanism of.4. proposed a detection method of financial market transactions. In order to capture the abnormal trading behavior of financial markets in the emerging and developing tendency, we propose a detection method of potential transactions group in futures contracts on the calculation of any of the two eligible unified signed entrusted amount aggregation time series correlation coefficient, a correlation coefficient matrix, construct the corresponding weighted graph; multiple daily weighted graph in connected component The amount with the comprehensive weighted graph, connected component appeared several times is identified as a potential transaction group. We in the real records of authorization sets were detection experiments, experimental results show that our method can effectively detect the related transactions on the futures market group suspected, after verification of senior business experts. This result is credible.5. method is proposed to influence the price transmission relationship graph and trend delay based on correlation, analysis of three of the world's major copper futures market (LME, SHFE and COMEX) price conduction and interactive relationship. According to the delay correlation three exchanges daily 22 price series between the calculation results, we establish the price conduction the diagram analysis results of price conduction diagram shows that the LME led global futures prices, COMEX closely with LME, the price is LME strong The guide and influence. But between the price and LME exist obvious deviation. We use 1 minute high-frequency price calculation delay correlation data, did not find the existence of the price leader to follow the relationship between LME and the previous period. Then, we use the influence trend model, measuring the LME first and after departure from the degree of convergence in the minute change trend. The results show that the LME and interactionwhich is obvious in price operation days, but the effect of LME on the slightly larger. From the analysis results of overnight price changes and trading time three exchanges, the transaction time is too short, seriously weakened its position in the global market the price discovery.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5;TP311.13

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本文編號(hào)：1385557